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Modelos de previsão: uma análise para o mercado de ações da companhia Vale do Rio Doce

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  • da Silva, Débora Nayanne
  • Lins, Vitor Ferreira

Abstract

O mercado de capitais é um meio eficiente de distribuição de valores mobiliários, nele, é possível obter liquidez para os títulos e ações. No Brasil, a Vale desempenha um papel de grande importância no mercado de ações, portanto será alvo deste estudo. Será realizado uma série de testes e comparações entre modelos lineares e o ARIMA. Objetiva-se avaliar se a previsão do preço das ações da Vale por meio de uma regressão linear com fatores externos é mais ou menos relevante que um modelo autorregressivo. Dentre os modelos lineares testados, o modelo 3 contém apenas os próprios valores das ações da Vale no período anterior e supera a eficiência do primeiro modelo. Entre os modelos ARIMA testados, o melhor (de acordo com os valores dos coeficientes AIC e BIC) foi o ARIMA (1, 1, 0), entretanto, este, assim como os outros modelos ARIMA, tem previsões fracas, que não acompanham as variações dos valores reais. Com isso, conclui-se que o melhor modelo é o Modelo Linear 3.

Suggested Citation

  • da Silva, Débora Nayanne & Lins, Vitor Ferreira, 2022. "Modelos de previsão: uma análise para o mercado de ações da companhia Vale do Rio Doce," SocArXiv mqphy_v1, Center for Open Science.
    • Handle: RePEc:osf:socarx:mqphy_v1
    DOI: 10.31219/osf.io/mqphy_v1
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